Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hamamatsu Photonics K.K. backtest
10 trend-following strategies were compared on the full daily history of Hamamatsu Photonics K.K.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -32.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.3%, drawdown -71.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -39.3%, Sharpe 0.38, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 4.2%, MDD -32.8%, exposure 43%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=169 |
6.3% | -39.3% | 0.38 | 0.16 | 4.7x | 37 | 60% |
| ROC 모멘텀 n=198, threshold=0 |
4.8% | -49.9% | 0.33 | 0.10 | 3.3x | 147 | 58% |
| Donchian 채널 돌파 entryN=137, exitN=71 |
4.2% | -32.8% | 0.32 | 0.13 | 2.9x | 29 | 43% |
| 볼린저 밴드 돌파 n=9, k=2.5 |
1.9% | -11.8% | 0.29 | 0.16 | 1.6x | 54 | 5% |
| EMA 크로스오버 fast=33, slow=176 |
3.7% | -54.3% | 0.28 | 0.07 | 2.5x | 43 | 57% |
| ADX / DI 방향성 period=24, threshold=36 |
0.2% | -4.6% | 0.18 | 0.04 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=8, mult=4 |
0.1% | -8.4% | 0.03 | 0.01 | 1.0x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.5% | -70.4% | -0.01 | -0.04 | 0.5x | 222 | 53% |
| Supertrend period=10, mult=3.4 |
-2.6% | -66.2% | -0.02 | -0.04 | 0.5x | 178 | 54% |
| MACD fast=17, slow=42, signal=16 |
-3.2% | -77.2% | -0.05 | -0.04 | 0.4x | 316 | 50% |
| Buy and hold | 3.3% | -71.5% | 0.26 | 0.05 | 2.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 33-day average falls below the 169-day average